OTEX Options History — June 2020

In June 2020, OTEX traded between $41.40 and $43.85. ATM implied volatility averaged 31.0%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.4% (HV 20d: 30.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.68.

Notable Days

  • 2020-06-04: Highest Volume — 639 contracts
  • 2020-06-04: Largest IV spike — 56.3% change
  • 2020-06-29: Highest IV Rank — 32.0%
  • 2020-06-29: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.73$41.40$43.85$42.07$42.51
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV31.0%24.0%38.4%30.2%31.2%
Expected Move8.7%6.6%11.0%8.7%9.0%
HV 20d30.6%27.5%35.2%27.5%29.6%
HV 60d45.6%35.0%60.3%60.3%35.0%
IV Rank23.3%15.1%32.0%22.4%23.6%
IV Percentile70.7%52.8%82.1%73.4%72.2%
Term Structure2.6%-4.6%16.4%0.2%6.6%
VWIV30.1%15.8%42.9%26.6%26.7%
Skew 25d5.1%-20.1%15.4%3.1%7.8%
Skew 10d9.5%-27.6%30.6%30.6%7.9%
Call IV 25d28.5%16.2%41.7%26.9%27.5%
Put IV 25d33.7%18.9%43.9%30.0%35.3%
Bid-Ask Spread %87.1250.70109.4361.6678.24
Gamma HHI0.300.240.420.270.28
Net GEX86.0K62.2K129.0K100.6K65.4K
Net DEX-2.0M-2.8M-1.5M-1.9M-1.5M
Net VEX-18.4K-19.8K-17.3K-17.9K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0037.000.000.00
Total Volume120.8181063928134
Total OI3,626.0913,3304,0463,4513,404

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$42.07$40.0030.2%8.7%27.5%22.4%26.6%3.1%0.2%100.6K-1.9M-17.9K0.0061.66N/AN/A2801,8811,570
2020-06-02$42.86$40.0025.0%7.2%27.9%16.2%24.7%-6.5%1.2%109.4K-2.3M-18.3K1.2771.07N/AN/A40511,8771,570
2020-06-03$43.64$40.0024.0%6.9%28.0%15.1%24.7%3.4%0.6%113.9K-2.7M-18.5K0.4651.47N/AN/A97451,8801,619
2020-06-04$42.42$40.0037.5%9.4%30.4%31.0%30.4%6.0%-3.9%102.9K-2.0M-18.5K2.5390.19N/AN/A1814581,9481,645
2020-06-05$43.09$40.0024.6%6.6%30.7%15.7%15.8%15.4%16.4%115.0K-2.5M-18.5K0.00108.14N/AN/A1601,9531,645
2020-06-08$43.51$40.0031.9%7.7%30.5%24.3%26.9%4.2%1.9%106.0K-2.8M-18.5K0.0093.47N/AN/A2101,9701,645
2020-06-09$43.31$40.0026.6%7.8%30.6%18.1%26.7%0.3%2.2%107.3K-2.8M-19.0K6.2997.98N/AN/A7441,9861,645
2020-06-10$43.85$40.0028.8%8.3%29.8%20.7%27.9%-20.1%4.2%129.0K-2.8M-19.6K0.00103.79N/AN/A19501,9871,687
2020-06-11$41.40$40.0037.1%10.6%35.2%30.4%36.3%10.4%-0.6%87.2K-1.5M-17.6K2.1396.93N/AN/A8172,1301,687
2020-06-12$41.79$40.0037.4%10.7%35.2%30.8%38.6%10.9%-4.6%82.0K-1.6M-17.3K0.84109.43N/AN/A90762,1311,699
2020-06-15$41.76$40.0036.5%10.5%35.2%29.7%35.3%7.3%2.2%75.6K-1.6M-17.7K0.0593.41N/AN/A4022,1861,775
2020-06-16$42.53$40.0032.9%9.4%30.8%25.5%36.9%4.0%-0.9%73.0K-2.1M-18.9K1.8596.36N/AN/A26482,2021,781
2020-06-17$42.58$40.0030.6%8.8%30.6%22.8%29.8%7.7%5.0%69.4K-2.2M-19.5K0.0091.75N/AN/A2502,2131,827
2020-06-18$42.60$40.0024.4%7.0%30.3%15.6%0.0%7.1%3.5%63.8K-2.2M-19.8K0.0092.31N/AN/A1002,2191,827
2020-06-19$42.73$40.0028.6%8.2%29.8%20.5%0.0%11.2%6.2%62.2K-2.0M-19.1K0.0099.86N/AN/A1602,1871,827
2020-06-22$43.65$40.0029.9%8.6%30.3%22.0%29.7%9.2%4.4%80.7K-2.1M-18.9K0.0575.28N/AN/A10651,9891,379
2020-06-23$43.25$40.0029.5%8.5%29.5%21.6%33.1%6.0%3.4%73.3K-1.8M-18.3K1.2650.70N/AN/A2803521,9481,382
2020-06-24$42.48$40.0036.2%10.4%30.4%29.4%28.3%11.4%3.6%63.5K-1.5M-17.9K0.9293.11N/AN/A25231,9761,374
2020-06-25$43.09$40.0030.3%8.7%30.5%22.5%30.3%-7.2%1.2%75.4K-1.9M-18.2K0.0398.83N/AN/A13441,9791,382
2020-06-26$42.65$40.0030.6%8.8%30.6%22.8%0.0%7.0%1.0%63.9K-1.5M-17.8K4.3383.75N/AN/A3131,9971,380
2020-06-29$42.36$40.0038.4%11.0%30.3%32.0%42.9%14.6%3.6%72.0K-1.6M-17.8K37.0078.88N/AN/A1372,0001,385
2020-06-30$42.51$40.0031.2%9.0%29.6%23.6%26.7%7.8%6.6%65.4K-1.5M-17.4K0.0078.24N/AN/A13402,0001,404